How do we compute the eigenvalues? narrow band plus spike × × × × × × × × × × × × A = × × × × × × × × Francis’s bulge-chasing algorithm (“implicitly-shifted QR ”) O ( n 3 ) time, O ( n 2 ) space Is there a more economical approach? David S. Watkins companion, comrade, and related matrices
How do we compute the eigenvalues? narrow band plus spike × × × × × × × × × × × × A = × × × × × × × × Francis’s bulge-chasing algorithm (“implicitly-shifted QR ”) O ( n 3 ) time, O ( n 2 ) space Is there a more economical approach? David S. Watkins companion, comrade, and related matrices
How do we compute the eigenvalues? narrow band plus spike × × × × × × × × × × × × A = × × × × × × × × Francis’s bulge-chasing algorithm (“implicitly-shifted QR ”) O ( n 3 ) time, O ( n 2 ) space Is there a more economical approach? David S. Watkins companion, comrade, and related matrices
How do we compute the eigenvalues? narrow band plus spike × × × × × × × × × × × × A = × × × × × × × × Francis’s bulge-chasing algorithm (“implicitly-shifted QR ”) O ( n 3 ) time, O ( n 2 ) space Is there a more economical approach? David S. Watkins companion, comrade, and related matrices
How do we compute the eigenvalues? banded plus spike × × × × × × × × × × × × A = × × × × × × × × Exploit rank structure (generators) We pursue a different approach. David S. Watkins companion, comrade, and related matrices
How do we compute the eigenvalues? banded plus spike × × × × × × × × × × × × A = × × × × × × × × Exploit rank structure (generators) We pursue a different approach. David S. Watkins companion, comrade, and related matrices
How do we compute the eigenvalues? banded plus spike × × × × × × × × × × × × A = × × × × × × × × Exploit rank structure (generators) We pursue a different approach. David S. Watkins companion, comrade, and related matrices
Fast Methods We have developed great methods that are . . . lightning fast unstable David S. Watkins companion, comrade, and related matrices
Fast Methods We have developed great methods that are . . . lightning fast unstable David S. Watkins companion, comrade, and related matrices
Fast Methods We have developed great methods that are . . . lightning fast unstable David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × × × × × × × × × × × = × × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × 0 × × × × × × × × × = × × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × × × � � × × × × × × × = × × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × × × � � × × 0 × × × × = × × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × × × � � × × × × � = � × × × × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × × × � � × × × × � = � × × 0 × × × × × × × × × × × David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) × × × × × × × × � � × × × × � � × × × × � = � × × × × × × × × × × × × × and so on . . . to (banded) triangular form. David S. Watkins companion, comrade, and related matrices
A useful factorization (by Gaussian elimination) We get the factorization × × � � × × � � × × � A = � × × � � × × � � × core transformations times banded upper triangular band width = length of recurrence David S. Watkins companion, comrade, and related matrices
What core transformations look like × × 1 1 � � × × × × 1 � = � 1 × × × × � � 1 1 × × David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm × × � � × × � � × × � � × × � � × × � � × We will develop a nonunitary bulge-chasing algorithm that preserves this factorization. Note: Storage is O ( n ) (about 6 n for this case). We have single-shift and double-shift variants. David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm × × � � × × � � × × � � × × � � × × � � × We will develop a nonunitary bulge-chasing algorithm that preserves this factorization. Note: Storage is O ( n ) (about 6 n for this case). We have single-shift and double-shift variants. David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm × × � � × × � � × × � � × × � � × × � � × We will develop a nonunitary bulge-chasing algorithm that preserves this factorization. Note: Storage is O ( n ) (about 6 n for this case). We have single-shift and double-shift variants. David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm × × � � × × � � × × � � × × � � × × � � × We will develop a nonunitary bulge-chasing algorithm that preserves this factorization. Note: Storage is O ( n ) (about 6 n for this case). We have single-shift and double-shift variants. David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) × × � � × × � � × × � � × × � � × × � � × David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) × × � � � � � � × × � � × × � � × × � � × × � � × David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) × × � � � � × × � � × × � � × × � � × × � � × David S. Watkins companion, comrade, and related matrices
Passing Gauss transform through triangular matrix Blue core transformations are Gauss transforms. � × � × � × × � × � × � � = � = � × × × × × � × × × × × We do this at every opportunity. From this point on, we suppress the triangular matrix. David S. Watkins companion, comrade, and related matrices
Passing Gauss transform through triangular matrix Blue core transformations are Gauss transforms. � × � × � × × � × � × � � = � = � × × × × × � × × × × × We do this at every opportunity. From this point on, we suppress the triangular matrix. David S. Watkins companion, comrade, and related matrices
Passing Gauss transform through triangular matrix Blue core transformations are Gauss transforms. � × � × � × × � × � × � � = � = � × × × × × � × × × × × We do this at every opportunity. From this point on, we suppress the triangular matrix. David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) × × � � � � × × � � × × � � × × � � × × � � × David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) × × � � � � × × � � × × � � × × � � × × � � × David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Turnover operation Can we do this? � � � � � � ⇔ � � � � � � crucial question Pessimistic answer: No! (not always) Optimistic answer: Yes! (almost always) David S. Watkins companion, comrade, and related matrices
Turnover operation Can we do this? � � � � � � ⇔ � � � � � � crucial question Pessimistic answer: No! (not always) Optimistic answer: Yes! (almost always) David S. Watkins companion, comrade, and related matrices
Turnover operation Can we do this? � � � � � � ⇔ � � � � � � crucial question Pessimistic answer: No! (not always) Optimistic answer: Yes! (almost always) David S. Watkins companion, comrade, and related matrices
Turnover operation Can we do this? � � � � � � ⇔ � � � � � � crucial question Pessimistic answer: No! (not always) Optimistic answer: Yes! (almost always) David S. Watkins companion, comrade, and related matrices
Turnover operation � × � × × × � × × � � � � � � � = = × × × × × × � � 0 × × × × × Red submatrix still has rank one. David S. Watkins companion, comrade, and related matrices
Turnover operation � × � × × × � × × � � � � � � � = = × × × × × × � � 0 × × × × × Red submatrix still has rank one. David S. Watkins companion, comrade, and related matrices
Turnover operation So . . . � × � × × × � × × � � = = � × × × × × × � � � � � � × × × 0 × × Gauss transform does not disturb 2 × 2 submatrix. David S. Watkins companion, comrade, and related matrices
Turnover operation So . . . � × � × × × � × × � � = = � × × × × × × � � � � � � × × × 0 × × Gauss transform does not disturb 2 × 2 submatrix. David S. Watkins companion, comrade, and related matrices
Turnover operation So . . . � × � × × × � × × � � = = � × × × × × × � � � � � � × × × 0 × × Gauss transform does not disturb 2 × 2 submatrix. David S. Watkins companion, comrade, and related matrices
Turnover operation Complete turnover looks like this: � � � � � = � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � Done! Now repeat again, again, and again David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � Done! Now repeat again, again, and again David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � Done! Now repeat again, again, and again David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � Done! Now repeat again, again, and again David S. Watkins companion, comrade, and related matrices
Bulge Chasing Algorithm (single-shift variant) � � � � � � � � � � Done! Now repeat again, again, and again David S. Watkins companion, comrade, and related matrices
Computational complexity O ( n ) storage (everything in cache) O ( n ) flops per iteration O ( n ) iterations O ( n 2 ) flops total David S. Watkins companion, comrade, and related matrices
Computational complexity O ( n ) storage (everything in cache) O ( n ) flops per iteration O ( n ) iterations O ( n 2 ) flops total David S. Watkins companion, comrade, and related matrices
Computational complexity O ( n ) storage (everything in cache) O ( n ) flops per iteration O ( n ) iterations O ( n 2 ) flops total David S. Watkins companion, comrade, and related matrices
Computational complexity O ( n ) storage (everything in cache) O ( n ) flops per iteration O ( n ) iterations O ( n 2 ) flops total David S. Watkins companion, comrade, and related matrices
Computational complexity O ( n ) storage (everything in cache) O ( n ) flops per iteration O ( n ) iterations O ( n 2 ) flops total David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Stability issue This is a structured, implicitly-shifted LR algorithm. Unstable! Can we trust the results? No, but we can do a posteriori tests. � ( λ I − A ) v � = | p ( λ ) | | p ( λ ) p ′ ( λ ) | is estimate of error. Newton correction Cost: O ( n 2 ) flops for n roots. David S. Watkins companion, comrade, and related matrices
Performance First example: companion matrices, complex, single-shift code Contestants ( O ( n 3 )) LAPACK code ZHSEQR BBEGG (quasiseparable, unitary) AVW our code David S. Watkins companion, comrade, and related matrices
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